封面
声明
中文摘要
英文摘要
目录
Introduction
1. Background
1.1 Introduction to Chinese Stock Market
1.2 Background of Institutional Investors
1.3 Significance of Thesis
2. Literature Review
2.1 The Correlation of Institutional Investors’ Holding and Stock Returns
2.2 The Impact of Institutional Investors’ Behaviors on Stock Returns
2.3 The Effect of Stock Returns on Institutional Investors’ Behaviors–Research on Feedback Trading Strategies
3. Data and Research Approaches
3.1 Data Source
3.2 Variable Selection
3.3 Research Approaches
4. Institutional Investors’ Holding and Stock Returns
4.1 Issues to Be Solved in This Section
4.2 Model Construction: Fama-French Three-Factor Model and Parameters Estimation
4.3 Statistical Results
4.4 Statistical and Practical Interpretation
5. Institutional Investors’ Trading and Stock Returns
5.1 Issues to Be Solved in This Section
5.2 Model Construction
5.3 Statistical Results
5.4 Statistical and Practical Interpretation
6. Granger Causality Test on Relationship between Institutional Trading and Portfolios’ Returns
6.1 Problem to Be Solved in This Section
6.2 Model Construction and Data Processing
6.3 Statistical Results
6.4 Statistical and Practical Interpretation
7. Trading Patterns Before and After Institutional Trading Portfolio Formation Period
7.1 Problem to Be Solved in This Section
7.2 Trading Patterns Before and After Portfolio Formation Period
7.3 Returns Before and After Portfolio Formation Period
8. Conclusions, Summary and Interpretation
8.1 Summary of Conclusions
8.2 Interpretation for Conclusions
参考文献
Appendix
致谢
上海交通大学;